32 citations · 33 across the 11 of their papers we have counts for
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q-fin.PM2019
Behavioural investors in conic market models
Huy N. Chau, Miklos Rasonyi
We treat a fairly broad class of financial models which includes markets with proportional transaction costs. We consider an investor with cumulative prospect theory preferences an…
stat.ML2019
Stochastic Gradient Hamiltonian Monte Carlo for Non-Convex Learning
Huy N. Chau, Miklos Rasonyi
Stochastic Gradient Hamiltonian Monte Carlo (SGHMC) is a momentum version of stochastic gradient descent with properly injected Gaussian noise to find a global minimum. In this pap…